fix: window_return改复利净值(8槽等权),修正窗口收益巨值bug

2026-08-15 03:09:54 +08:00
parent c051d942e6
commit 46794959a2
1 changed files with 5 additions and 3 deletions
@@ -99,14 +99,16 @@ def portfolio_metrics(trades, capital=1000000, slots=8):
    pf = lab.portfolio_sim(trades, capital, max_positions=slots)
    years_span = 7.5
    cagr = pf.get("cagr_pct")
-    # 时间窗收益（按 entry_date 过滤 trades 做简单等权组合）
+    # 时间窗收益（按 entry_date 过滤 trades，8槽等权复利净值）
    def window_return(months):
        cutoff = (datetime(2026, 7, 24) - timedelta(days=int(months * 30.4))).strftime("%Y-%m-%d")
        wt = [t for t in trades if t["entry_date"] >= cutoff]
        if not wt:
            return None
-        tot = sum(t["profit_pct"] for t in wt) / slots
-        return tot
+        nav = 1.0
+        for t in sorted(wt, key=lambda x: x["entry_date"]):
+            nav *= (1 + t["profit_pct"] / 100 / slots)
+        return (nav - 1) * 100
    return {
        "cagr": cagr,
        "year1": window_return(12),